If you find it annoying that you can't use a removable drive in both Parallels Desktop and the Mac OS at the same time, just add a shared folder in Parallels which points to /Volumes.

That way, you can access all your USB drives, DVDs, etc. in Parallels via the Shared Folder feature, and you still can use them from outside Parallels as well. No more ejecting and mounting and ejecting and mounting...

That's news to me! I've been using a Lacie external with both Leopard and XP in Parallels simultaneously for quite some time. Never had an issue... The drive stays on and accessible to both OSes without any operator intervention. While the /Volumes method should also work, you can just map a drive in XP and it'll always be there.

I did the drive mapping just to make backup easier, though you could use a UNC path as well. Time Machine won't backup the BootCamp partition, so I've got a PC backup program that handles it. However both backups go to the same external drive.